Adaptive Multilevel Monte Carlo for Probabilities

DOI10.1137/21M1447064zbMath1506.65009arXiv2107.09148OpenAlexW3185168106MaRDI QIDQ5096456

Abdul-Lateef Haji-Ali, Jonathan Spence, A. L. Teckentrup

Publication date: 17 August 2022

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.09148

zbMATH Keywords

nested simulationmultilevel Monte Carlo methodrisk estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Cites Work

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